Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets

Burak Korkusuz, David G. McMillan () and Dimos Kambouroudis
Additional contact information
Burak Korkusuz: University of Stirling
David G. McMillan: University of Stirling
Dimos Kambouroudis: University of Stirling

Empirical Economics, 2023, vol. 64, issue 4, No 1, 1517-1537

Abstract: Abstract This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine volatility spillover relations, we combine a bivariate GARCH-BEKK model with complex network theory. Specifically, we construct a volatility network of international financial markets utilising the spatial connectedness of spillovers (consisting of nodes and edges). The findings show that spillover relations between global variables and G20 markets vary significantly across five identified sub-periods. Notably, networks are much denser in crisis periods compared to non-crisis periods. In comparing two crisis periods, Global Financial Crisis (2008) and COVID-19 Crisis (2020) periods, the network statistics suggest that volatility spillovers in the latter period are more transitive and intense than the former. This suggests that financial volatility spreads more rapidly and directly through key financial indicators to the G20 stock markets. For example, oil and bonds are the largest volatility senders, while the markets of Saudi Arabia, Russia, South Africa, and Brazil are the main volatility receivers. In the former crisis, the source of financial volatility concentrates primarily in the USA, Australia, Canada, and Saudi Arabia, which are the largest volatility senders and receivers. China emerges as generally the least sensitive market to external volatility.

Keywords: Volatility spillover; GARCH-BEKK; Complex network theory; Global financial indicators; G20 stock markets (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-022-02290-w Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02290-w

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-022-02290-w

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().